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(Level-Coupon Bond) : (. . ) (. . ). . , (CFk = CF = const) () (. 19.5). (noncallable, irredeemable) (callable, redeemable, optional).

DCF- (16.2) :

. , , , .

(19,4), .

    1000 ., 15% 4 , 10%. .

    , . . m = Vt, (19.5). : 8 ; 7 75 . (1000 15% : 2 :100%) , 75 . 10%, 5%. FM4 (r,n) n = 8 r = 5% 6,463; FM2 (5%, 8) = 0,677. , (19.5)

    m = Vt = 75 6,463+ 1000 0,677 = 1162 .

    . , (. . ). , 18%,

    Vt = CF 4(9%, 8) + FM2(9%, ) = 75 5,535 + 1000 0,502 = 917 .

    , , 15%, . . 19.6.

:

  • , (), , . ;
  • , , . . ( -' );
  • , ;
  • , . . () ().

 

 

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